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Or if just looking at one instrument you could simply look at the DOM/depth map. Especially crude oil where the last time I looked there might be 30 orders in the book at most of the levels but then when somebody puts size on it is 200-300+. It is easy to see because it is so much larger, and also easy to see if the order gets pulled/or moved a good distance away so it isn't being cancelled. When looking at the DOM with crude I simply tended to classify orders at price as:
Small - one digit at price so 1-9 orders waiting.
Normal - two digits at price, 10-90 but in practice less than 60 really.
Large - three digits at price, 100+.
Just looking at the list of numbers the three digit numbers stood out. A lot of DOMs have histograms in the Bid Ask column which make it easier still to see large size. And with Bookmap or a similar product you get bright white bands of high liquidity which suddenly disappear if pulled.
(How useful orders moving around the order book all is is, rather than focusing on the volume than is actually being transacted, is another question. Apart from HFTs scalping and specifically looking/reacting to what is available on the inside bid/offer (Ian is your man for information on that kind of thing), I tend to think for most people it is only probably useful as a broad brush approach, such as in this area there is a lot of interest from larger players).
You do not win as a trader, you just get to play again the next day. If that game doesn’t appeal to you then you should not trade. Gary Norden
Can you help answer these questions from other members on NexusFi?
